Package org.drip.execution.parameters

Class AssetFlowSettings

java.lang.Object
org.drip.execution.parameters.AssetFlowSettings
public class AssetFlowSettings
extends java.lang.Object
AssetFlowSettings contains the Asset's Market Flow Parameters that are determined empirically from Almgren, Thum, Hauptmann, and Li (2005), using the Parameterization of Almgren (2003). The References are:

  • Almgren, R., and N. Chriss (1999): Value under Liquidation Risk 12 (12)
  • Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
  • Almgren, R. (2003): Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk Applied Mathematical Finance 10 (1) 1-18
  • Almgren, R., and N. Chriss (2003): Bidding Principles Risk 97-102
  • Almgren, R., C. Thum, E. Hauptmann, and H. Li (2005): Equity Market Impact Risk 18 (7) 57-62


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    AssetFlowSettings​(java.lang.String strAssetID, double dblAverageDailyVolume, double dblNumberOutstanding, double dblDailyVolatility)
    AssetFlowSettings Constructor

  • Method Summary

    Modifier and Type Method Description
    java.lang.String assetID()
    Retrieve the Asset ID
    double averageDailyVolume()
    Retrieve the Average Daily Volume
    double dailyVolatility()
    Retrieve the Daily Volatility
    double denormalizeImpact​(double dblNormalizedImpact)
    De-normalize the Specified Temporary/Permanent Impact
    double inverseTurnover()
    Retrieve the Daily Inverse Turnover
    double normalizeTradeSize​(double dblRawTradeSize, double dblTime)
    Retrieve the Normalized Trade Size
    double outstandingUnits()
    Retrieve the Outstanding Number of the Traded Units
    double turnover()
    Retrieve the Daily Turnover

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • AssetFlowSettings

      public AssetFlowSettings​(java.lang.String strAssetID, double dblAverageDailyVolume, double dblNumberOutstanding, double dblDailyVolatility) throws java.lang.Exception
      AssetFlowSettings Constructor
      Parameters:
      strAssetID - The Asset ID
      dblAverageDailyVolume - The Asset Average Daily Volume
      dblNumberOutstanding - The Number of Trade-able Asset Units Outstanding
      dblDailyVolatility - The Asset Daily Volatility
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • assetID

      public java.lang.String assetID()
      Retrieve the Asset ID
      Returns:
      The Asset ID

    • averageDailyVolume

      public double averageDailyVolume()
      Retrieve the Average Daily Volume
      Returns:
      The Average Daily Volume

    • dailyVolatility

      public double dailyVolatility()
      Retrieve the Daily Volatility
      Returns:
      The Daily Volatility

    • outstandingUnits

      public double outstandingUnits()
      Retrieve the Outstanding Number of the Traded Units
      Returns:
      The Outstanding Number of the Traded Units

    • turnover

      public double turnover()
      Retrieve the Daily Turnover
      Returns:
      The Daily Turnover

    • inverseTurnover

      public double inverseTurnover()
      Retrieve the Daily Inverse Turnover
      Returns:
      The Daily Inverse Turnover

    • normalizeTradeSize

      public double normalizeTradeSize​(double dblRawTradeSize, double dblTime) throws java.lang.Exception
      Retrieve the Normalized Trade Size
      Parameters:
      dblRawTradeSize - The Raw Trade Size
      dblTime - The Time
      Returns:
      The Normalized Trade Size
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • denormalizeImpact

      public double denormalizeImpact​(double dblNormalizedImpact) throws java.lang.Exception
      De-normalize the Specified Temporary/Permanent Impact
      Parameters:
      dblNormalizedImpact - The Normalized Impact
      Returns:
      The De-normalized Temporary/Permanent Impact
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid